Related papers: Optimal Monotone Mean-Variance Problem in a Catast…
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver…
We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining the principle of indemnity and charging the premium…
Many modern statistical estimation problems are defined by three major components: a statistical model that postulates the dependence of an output variable on the input features; a loss function measuring the error between the observed…
The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques. For general mean-risk models such closed form optimal portfolios are…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
In auto insurance, a Bonus-Malus System (BMS) is commonly used as a posteriori risk classification mechanism to set the premium for the next contract period based on a policyholder's claim history. Even though recent literature reports…
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert opinions of…
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram\'er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
Autonomous systems with machine learning-based perception can exhibit unpredictable behaviors that are difficult to quantify, let alone verify. Such behaviors are convenient to capture in probabilistic models, but probabilistic model…
A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions,…
In this research, we present an analysis of the optimal investment, consumption, and life insurance acquisition problem for a wage earner with partial information. Our study considers the non-linear filter case where risky asset prices are…
Revisiting the continuous-time Mean-Variance (MV) Portfolio Optimization problem, we model the market dynamics with a jump-diffusion process and apply Reinforcement Learning (RL) techniques to facilitate informed exploration within the…
Real-world applications such as magnetic resonance imaging with multiple coils, multi-user communication, and diffuse optical tomography often assume a linear model where several sparse signals sharing common sparse supports are acquired by…
Matrix-monotonic optimization exploits the monotonic nature of positive semi-definite matrices to derive optimal diagonalizable structures for the matrix variables of matrix-variable optimization problems. Based on the optimal structures…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…
Catastrophe risk has long been recognized to pose a serious threat to the insurance sector. Catastrophe risk pooling offers an effective way to diversify losses arising from catastrophic events. In this paper, we investigate a structure of…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…